From the author of

“I can’t find text leading!”

Adobe, in all its wisdom, has determined that leading should be a character attribute rather than paragraph formatting, so
leading shows up next to the font size field in the Character and Control palettes. This means that you can apply a different
leading value to each character of a paragraph—InDesign assigns a leading value for each line of a paragraph based on the
largest leading value in the line.

If you find this annoying (QuarkXPress users almost universally do), then turn on the checkbox labelled Apply Leading to Entire
Paragraphs in the Text panel of the Preferences dialog box. From then on, you can just place the cursor anywhere within a
paragraph, and when you change leading, the whole paragraph is affected.